Path-dependent equations and viscosity solutions in infinite dimension

DOI10.1214/17-AOP1181zbMath1516.35192arXiv1502.05648MaRDI QIDQ6259227

Andrea Cosso, Salvatore Federico, Fausto Gozzi, Nizar Touzi, Mauro Rosestolato

Publication date: 19 February 2015

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Viscosity solutions to PDEs (35D40)